Peter Budaj was born September 18, 1982 in Banska Bystrica, Slovakia. The first choice, 63rd overall selection of the Colorado Avalanche in the 2001 NHL Entry Draft, Budaj is a graduate of the OHL's St. Michael's Majors.

In his three seasons with St. Michael's, Budaj finished with a 49-39-9 record while leading all OHL goaltenders in wins (26), fewest losses (9), goals against average (2.29), and save percentage (.922) during the 2001-02 season. A two-time member of Slovakia's World Junior team (2001-2002), Budaj also represented his homeland at the 2000 Under 18 World Championships where he was named Slovakia's MVP.

In the fall of 2002 Budaj made his professional debut with the AHL's Hershey Bears and went on to play three full seasons with the club before making his NHL debut with Colorado during the 2005-06 season.

Aside from his World Junior experience, Budaj represented his homeland at the World Cup in 2004 and the 2006 Winter Olympics.

In Colorado, Budaj began to emerge as an legitimate starting goaltender in the NHL. Aside from the 2010-11 season his goals-against-average never climbed over 2.86.

On April 1, 2011, Budaj became the first Slovakian goaltender to reach 100 career NHL wins when the Avalanche defeated the Phoenix Coyotes.

In the summer of 2011, Budaj's time in Colorado would come to an end. He signed as an unrestricted free agent with the Montreal Canadiens.

Budaj would serve predominantly as the backup to Carey Price during his time in Montreal. In 2013-14 he would appear in 24 games for the club, posting a 2.51 goals-against-average and .909 save percentage.

Prior to the 2015-16 season, Budaj signed as an unrestricted free agent with the Los Angeles. He would spend the majority of the year with the club's AHL affiliate, the Ontario Reign, appearing in just one game for the Kings.

An injury to Kings' goaltender Jonathan Quick forced Budaj into action during the 2016-17 season and he did not disappoint. In 53 games for the Kings he posted a .917 save percentage and his 2.12 goals-against-average was amongst the best in the league.

On February 26, 2017, Budaj's time in the Kings organization would come to an end. He was traded to the Tampa Bay Lightning alongside Erik Černák and a draft pick to the Tampa Bay Lightning exchange for Ben Bishop and a draft pick.